DPP version 3.11.30 which offers the fairly recent HDR Tool under Tools menu encounters an issue. When you stack say 3 bracketed images all tagged with the GPS data using the external GP-E2, then process the 3 images for HDR the GPS data is not saved on the final JPG. This is possible as Photomatix 4.2 by HDRSoft does carry forward this data to the final JPG.

I reported this to Canon and they were unaware. They hope to have a fix for this at some point.